McKenzie was born on February 19, 1918, in Hollywood, California, to show business parents, film actor Eva (née Heazlitt) and Irish American actor/director Robert McKenzie. Her father had a stock company called the McKenzie Merry Makers, and was both an actor and director in stage productions and films. His company included such actors as Broncho Billy Anderson, Ben Turpin, and Victor Potel. When she was ten weeks old, she appeared in an uncredited part in the film Station Content (1918) as Kitty's baby (played by Gloria Swanson). She appeared in four other silent films as a child: A Knight of the West (1921) as Fray Murten, When Love Comes (1922) as Ruth, The Judgment of the Storm (1924) as a Heath Twin, and The Dramatic Life of Abraham Lincoln (1924) as a young Sarah Lincoln (Abraham Lincolns stepmother). Fay's sister Ida Mae McKenzie, cousin Ella McKenzie, and brother-in-law Billy Gilbert, were also actors. Ida Mae also played the character of Sarah Lincoln in The Dramatic Life of Abraham Lincoln, in the part of the film where she had become a teenager.